Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0003 |
| Annualized Std Dev | 0.2104 |
| Annualized Sharpe (Rf=0%) | 0.0014 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3532.0000 |
| NAs | 1.0000 |
| Minimum | -0.1391 |
| Quartile 1 | -0.0052 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0060 |
| Maximum | 0.1594 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0133 |
| Skewness | -0.5857 |
| Kurtosis | 20.8783 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0098 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0111 |
| Downside Deviation (MAR=210%) | 0.0144 |
| Downside Deviation (Rf=0%) | 0.0098 |
| Downside Deviation (0%) | 0.0098 |
| Maximum Drawdown | 0.5363 |
| Historical VaR (95%) | -0.0189 |
| Historical ES (95%) | -0.0320 |
| Modified VaR (95%) | -0.0182 |
| Modified ES (95%) | -0.0182 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-07 | 2009-03-09 | NA | -0.5363 | 3319 | 314 | NA |
| 2007-06-04 | 2007-08-16 | 2007-09-27 | -0.0970 | 82 | 53 | 29 |
| 2007-02-27 | 2007-03-05 | 2007-03-21 | -0.0579 | 16 | 5 | 11 |
| 2007-11-07 | 2007-11-15 | 2007-11-28 | -0.0311 | 15 | 7 | 8 |
| 2007-05-08 | 2007-05-10 | 2007-05-16 | -0.0229 | 7 | 3 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 1.7 | -0.8 | 0.1 | -0.1 | 0.5 | 0.4 | -0.1 | 1.8 | 1.3 | -1.7 | 0 | -0.6 | 2.4 |
| 2008 | 1.1 | -1.7 | 2.8 | 1.3 | 0.7 | -0.7 | -1.9 | -1.6 | -0.2 | -0.4 | -8 | 3 | -5.8 |
| 2009 | -1 | 0.1 | 1 | 2.4 | 3 | 2.1 | 0.5 | -1.7 | -1.9 | -2 | 2.5 | -0.7 | 4.2 |
| 2010 | 1.8 | 1.8 | 1.7 | -0.2 | -1.8 | 1.1 | -0.1 | 2.7 | 0.4 | -1.3 | 1.7 | 0.3 | 8.3 |
| 2011 | 1.8 | -1.2 | -0.3 | 0.5 | -1.4 | 0.9 | -1.5 | -1.2 | -1.6 | -3 | -0.3 | 0.4 | -6.8 |
| 2012 | 1.2 | 0.7 | 0.6 | 0.9 | -1.3 | 2.6 | -0.7 | 0.7 | 0.1 | -0.5 | -0.2 | 1.6 | 5.8 |
| 2013 | 0.5 | -0.4 | -0.6 | -1.4 | -1.1 | -0.1 | 0.3 | 0 | 0.8 | -0.7 | 1.6 | 0 | -1.3 |
| 2014 | 0 | 0.1 | 0.3 | -0.2 | -0.2 | 0.6 | 0 | 0.4 | -0.6 | 1 | -0.4 | -0.7 | 0.2 |
| 2015 | -1.3 | 0.2 | 0 | 0.5 | -0.7 | 0.6 | 0.8 | -3.4 | 1 | 0.8 | 0.1 | 0.5 | -1 |
| 2016 | 1.1 | 2.2 | -1.9 | -0.2 | -0.4 | -0.1 | -1.2 | 1.2 | 0.5 | -0.6 | -1.3 | -0.3 | -1 |
| 2017 | 0.1 | 0.7 | 0.6 | 0.2 | 0.9 | -0.1 | 0.4 | 0.1 | 0.2 | 0.2 | 0 | -0.1 | 3.2 |
| 2018 | -0.4 | -0.4 | 1 | -0.3 | -2.2 | 0.8 | -0.9 | -0.9 | 0.6 | 1.1 | 0.1 | -0.2 | -1.7 |
| 2019 | -0.3 | 0.1 | 0.3 | -0.7 | 0.2 | -0.4 | 0.4 | 0.1 | -0.5 | 1 | -0.7 | 0.5 | 0 |
| 2020 | -1 | -2.3 | -5.2 | -3 | 0.6 | 0.9 | -0.7 | -0.3 | 0.1 | -0.6 | 1.6 | -0.1 | -9.8 |
| 2021 | 0.8 | 1.8 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-01-31 50.8 SPY 144. 6.70e-3 -0.0014 0.0108 0.0423 0.119 0.267 0.304 GLD 64.8 0.0095 0.0078
2 2007-02-01 51.7 SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
3 2007-02-02 52.0 SPY 145. 1.40e-3 0.0186 0.0243 0.0509 0.128 0.271 0.280 GLD 64.3 -0.0144 0.0028
4 2007-02-05 51.8 SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
5 2007-02-06 52.7 SPY 145. 3.00e-4 0.0147 0.031 0.0593 0.148 0.284 0.319 GLD 64.8 0.0075 0.0089
6 2007-02-07 52.9 SPY 145. 2.20e-3 0.0102 0.0285 0.0635 0.147 0.283 0.330 GLD 64.6 -0.0025 -0.0031
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
